
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-02-15 0 0 0 200 0 0 0 0
##
## Performance summary :
## CAGR Best Worst
## 33.5 13.6 -14.6
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
76.8
|
Win.Percent.Day
|
50.9
|
|
Cagr
|
35.25
|
Avg.Trade
|
5.2
|
Best.Day
|
13.6
|
|
Sharpe
|
1.28
|
Avg.Win
|
8
|
Worst.Day
|
-14.6
|
|
DVR
|
1.06
|
Avg.Loss
|
-4
|
Win.Percent.Month
|
70
|
|
Volatility
|
25.1
|
Best.Trade
|
54.14
|
Best.Month
|
37
|
|
MaxDD
|
-31.08
|
Worst.Trade
|
-15.99
|
Worst.Month
|
-18.3
|
|
AvgDD
|
-3.71
|
WinLoss.Ratio
|
1.98
|
Win.Percent.Year
|
91.3
|
|
VaR
|
-2.17
|
Avg.Len
|
38.78
|
Best.Year
|
134.6
|
|
CVaR
|
-3.83
|
Num.Trades
|
142
|
Worst.Year
|
-3.2
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
66.5327000365364
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1997 " NA" " NA" " NA" " NA" " 1.9" " 8.9" " 16.3" "-11.1"
## 1998 " 2.4" " -0.5" " 10.3" " 1.9" " -3.5" " 2.7" " -1.5" " 6.5"
## 1999 " 8.2" " -7.3" " 1.4" " 32.8" " -8.4" " 0.3" " 0.3" " 0.3"
## 2000 " -0.4" " 1.5" " 1.4" " -6.7" " 0.6" " 2.6" " 1.8" " 2.9"
## 2001 " 2.6" " 2.3" " -0.3" " -2.3" " 3.0" " 1.0" " 7.8" " 3.6"
## 2002 " 5.6" " 2.4" " -6.3" " 3.1" " 2.1" " 3.4" " 4.9" " 5.0"
## 2003 " -1.7" " 4.0" " -0.8" " 4.7" " 12.5" " 11.9" " 14.3" " -0.1"
## 2004 " 6.1" " 8.4" " 0.6" "-15.4" " 0.0" " 0.0" " 0.6" " 6.2"
## 2005 " -0.4" " 18.4" "-13.3" " 1.0" " 3.7" " 6.9" " 14.2" " 3.0"
## 2006 " 24.0" " -4.6" " 1.9" " 0.4" " 0.3" " 0.5" " 1.3" " 5.0"
## 2007 " -0.3" " -5.3" " 5.4" " 7.6" " 6.2" " 1.0" " 1.8" " 4.5"
## 2008 " 6.8" " 2.4" " 2.6" " -4.8" " 3.3" " 0.5" " 1.4" " 3.0"
## 2009 " -3.7" "-10.2" " 6.6" " -5.5" " 37.0" " -5.7" " 22.0" " -2.0"
## 2010 " 2.5" " 1.0" " 16.8" " -0.8" "-16.0" " 6.1" " 1.8" " -5.3"
## 2011 " 0.3" " 6.9" " -5.5" " 6.6" " -5.6" " -3.6" " -5.1" " 9.4"
## 2012 " 4.3" " 10.9" " 6.6" " -1.4" " 5.8" " -0.9" " 2.3" " -0.1"
## 2013 " -2.6" " 0.1" " 7.3" " 3.1" " -6.0" " -0.2" " 0.3" " -0.2"
## 2014 " 3.8" " 2.3" " -0.9" " 1.3" " 4.6" " 6.4" " 2.6" " 7.7"
## 2015 " 8.7" " -4.9" " 0.3" " -1.3" " 0.1" " 0.1" " 0.1" " 0.1"
## 2016 " 1.3" " 3.0" " -0.2" " 1.7" " -6.6" " 6.3" " 2.6" " 1.5"
## 2017 " 0.2" " 0.1" " 0.2" " 0.4" " 6.9" " 1.2" " 5.8" " 5.9"
## 2018 " 17.6" " -0.2" " 0.5" " -0.5" " 0.7" " 0.4" " -0.1" " 0.0"
## 2019 " 1.3" " -4.4" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 3.9" " 1.2" " 1.6" " 1.2" " 1.9" " 2.3" " 4.3" " 2.1"
## Sep Oct Nov Dec Year MaxDD
## 1997 " 1.6" " -7.5" " 1.3" " 3.3" " 12.8" "-24.1"
## 1998 " 7.4" " -1.6" " 12.3" " 11.6" " 57.4" " -8.5"
## 1999 " 1.7" " 0.5" " 3.9" " 30.4" " 73.1" "-18.8"
## 2000 "-10.4" " 1.8" " 4.3" " 4.8" " 3.1" "-20.3"
## 2001 " -2.0" " 4.5" " -4.6" " -0.5" " 15.6" "-10.2"
## 2002 " 7.8" " -2.6" " -4.2" " -5.3" " 15.7" "-12.0"
## 2003 " 9.2" " 18.8" " 2.0" " 16.0" "134.6" " -7.7"
## 2004 " 11.5" " 4.5" " 21.2" " 10.8" " 63.4" "-21.9"
## 2005 " 17.0" " -0.2" " 0.8" " 13.3" " 79.8" "-18.1"
## 2006 " 0.4" " 6.6" " 15.0" " 8.0" " 72.7" "-13.3"
## 2007 " 20.0" " 26.4" "-18.3" " 0.0" " 51.4" "-31.1"
## 2008 " -0.4" " 2.2" " 2.2" " 10.5" " 33.0" " -9.1"
## 2009 " 7.7" " -5.7" " 14.2" " 6.1" " 65.7" "-22.1"
## 2010 " -0.1" " 6.0" " -6.1" " 14.2" " 17.0" "-26.4"
## 2011 " 4.5" " -2.6" " -1.3" " 4.0" " 6.6" "-21.5"
## 2012 " 2.2" " -1.3" " 5.3" " 8.6" " 50.3" "-11.1"
## 2013 " 0.4" " 6.4" " 6.0" " 0.4" " 15.3" "-12.8"
## 2014 "-14.1" " 0.5" " 2.6" " 0.2" " 16.4" "-18.4"
## 2015 " 3.1" " -1.3" " -0.3" " -2.2" " 2.0" " -8.5"
## 2016 " 3.7" " 0.5" " -0.9" " 0.1" " 13.1" "-18.0"
## 2017 " -1.1" " 3.6" " -0.8" " 2.6" " 27.4" " -6.8"
## 2018 " -2.4" " -4.1" " 0.8" " 5.7" " 18.2" "-10.0"
## 2019 " NA" " NA" " NA" " NA" " -3.2" " -6.1"
## Avg " 3.1" " 2.5" " 2.5" " 6.5" " 36.6" "-15.5"

|
VOO
|
VEA
|
BND
|
VWO
|
LQD
|
TLT
|
SHY
|
IEF
|
|
1.4411161
|
-6.129696
|
-5.79439910
|
0.8325736
|
-9.6170173
|
-16.6506561
|
-1.2243214
|
-8.4276753
|
|
-1.8040397
|
3.481770
|
0.26615230
|
11.4826221
|
-1.3618504
|
5.4113513
|
0.3462248
|
0.2991608
|
|
0.5011327
|
4.629438
|
-4.79165139
|
-10.9361755
|
-9.6270572
|
-10.2148574
|
-1.2248742
|
-7.2419370
|
|
12.6806324
|
-2.250500
|
1.90870444
|
-8.7316456
|
-0.5229873
|
7.7795944
|
1.3418317
|
2.1142324
|
|
10.7917823
|
-6.443910
|
-1.31090452
|
-26.1263588
|
-5.6410302
|
0.8941974
|
0.2723800
|
-1.0280292
|
|
21.9618618
|
5.058749
|
-0.03069593
|
4.1632189
|
4.1475689
|
-3.9690612
|
0.1900816
|
-1.8542951
|
|
26.2515496
|
-6.074573
|
2.83084992
|
-23.4719600
|
0.6413530
|
5.3073475
|
1.6653924
|
3.6709842
|
|
19.3806070
|
3.713579
|
-1.95619731
|
-12.2184784
|
0.1400473
|
-13.7337829
|
-0.1757681
|
-5.5221576
|
|
-20.2834946
|
-42.434305
|
-3.94247221
|
-46.7686752
|
-9.7674830
|
-16.5195044
|
1.1823402
|
-2.1307491
|
|
4.0609263
|
-12.266966
|
0.67987604
|
3.1588462
|
-5.5557919
|
-1.7784239
|
2.0644081
|
3.6413296
|
|
-44.6349654
|
-40.213461
|
8.09367262
|
-24.1795863
|
4.3604102
|
22.4684294
|
4.6658163
|
14.0645718
|
|
21.8549778
|
17.221304
|
9.00435470
|
35.1051793
|
16.5087082
|
11.4672715
|
3.5333951
|
9.9399542
|
|
8.9020455
|
2.445738
|
5.17029938
|
-6.2088926
|
7.1523703
|
9.6966141
|
2.2563744
|
5.3150243
|
|
|
symbol
|
weight
|
entry.date
|
exit.date
|
nhold
|
entry.price
|
exit.price
|
return
|
|
[130,]
|
VEA
|
200
|
2017-09-29
|
2017-10-31
|
32
|
41.7
|
42.44
|
3.55
|
|
[131,]
|
VWO
|
200
|
2017-10-31
|
2017-11-30
|
30
|
43.25
|
43.1
|
-0.67
|
|
[132,]
|
VOO
|
200
|
2017-11-30
|
2017-12-29
|
29
|
237.59
|
240.64
|
2.57
|
|
[133,]
|
VWO
|
200
|
2017-12-29
|
2018-01-31
|
33
|
44.7
|
48.52
|
17.12
|
|
[134,]
|
SHY
|
200
|
2018-01-31
|
2018-05-31
|
120
|
82.03
|
82.25
|
0.53
|
|
[135,]
|
IEF
|
200
|
2018-05-31
|
2018-06-29
|
29
|
100.66
|
100.86
|
0.39
|
|
[136,]
|
SHY
|
200
|
2018-06-29
|
2018-07-31
|
32
|
82.28
|
82.23
|
-0.12
|
|
[137,]
|
LQD
|
200
|
2018-07-31
|
2018-08-31
|
31
|
113.28
|
113.3
|
0.04
|
|
[138,]
|
IEF
|
200
|
2018-08-31
|
2018-09-28
|
28
|
101.34
|
100.12
|
-2.41
|
|
[139,]
|
LQD
|
200
|
2018-09-28
|
2018-10-31
|
33
|
113.14
|
110.82
|
-4.1
|
|
[140,]
|
SHY
|
200
|
2018-10-31
|
2018-11-30
|
30
|
82.52
|
82.84
|
0.76
|
|
[141,]
|
IEF
|
200
|
2018-11-30
|
2019-01-31
|
62
|
101.15
|
104.66
|
6.95
|
|
[142,]
|
VWO
|
200
|
2019-01-31
|
2019-02-15
|
15
|
41.78
|
40.86
|
-4.4
|
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
76.8
|
Win.Percent.Day
|
50.9
|
|
Cagr
|
35.25
|
Avg.Trade
|
5.2
|
Best.Day
|
13.6
|
|
Sharpe
|
1.28
|
Avg.Win
|
8
|
Worst.Day
|
-14.6
|
|
DVR
|
1.06
|
Avg.Loss
|
-4
|
Win.Percent.Month
|
70
|
|
Volatility
|
25.1
|
Best.Trade
|
54.14
|
Best.Month
|
37
|
|
MaxDD
|
-31.08
|
Worst.Trade
|
-15.99
|
Worst.Month
|
-18.3
|
|
AvgDD
|
-3.71
|
WinLoss.Ratio
|
1.98
|
Win.Percent.Year
|
91.3
|
|
VaR
|
-2.17
|
Avg.Len
|
38.78
|
Best.Year
|
134.6
|
|
CVaR
|
-3.83
|
Num.Trades
|
142
|
Worst.Year
|
-3.2
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
66.5327000365364
|
|
|
|
|
With varying leverage
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-02-15 0 0 0 106.67 0 0 0 0
##
## Performance summary :
## CAGR Best Worst
## 41.8 8.6 -8.6
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
70.7
|
Win.Percent.Day
|
50.9
|
|
Cagr
|
44.1
|
Avg.Trade
|
3.2
|
Best.Day
|
8.6
|
|
Sharpe
|
1.7
|
Avg.Win
|
6.1
|
Worst.Day
|
-8.6
|
|
DVR
|
1.22
|
Avg.Loss
|
-3.7
|
Win.Percent.Month
|
70
|
|
Volatility
|
21.97
|
Best.Trade
|
26.04
|
Best.Month
|
28.6
|
|
MaxDD
|
-24.49
|
Worst.Trade
|
-14.24
|
Worst.Month
|
-13.6
|
|
AvgDD
|
-3.04
|
WinLoss.Ratio
|
1.67
|
Win.Percent.Year
|
95.7
|
|
VaR
|
-2.07
|
Avg.Len
|
20.94
|
Best.Year
|
100.6
|
|
CVaR
|
-3.04
|
Num.Trades
|
263
|
Worst.Year
|
0.5
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
67.2086225794666
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1997 " NA" " NA" " NA" " NA" " 2.6" " 5.2" " 12.0" " -6.8"
## 1998 " 3.8" " -0.6" " 7.6" " 1.7" " -2.7" " 3.9" " -2.6" " 28.6"
## 1999 " 4.3" " -8.9" " 5.7" " 20.6" " -4.6" " 1.3" " 1.0" " 0.9"
## 2000 " -2.4" " 7.9" " 5.7" " -2.3" " 2.7" " 12.6" " 3.6" " 4.4"
## 2001 " 5.1" " 2.5" " -0.3" " -4.2" " 1.3" " 1.0" " 10.4" " 5.0"
## 2002 " 2.8" " 2.5" " -8.3" " 15.1" " 5.0" " 7.1" " 8.8" " 6.7"
## 2003 " -3.5" " 5.4" " -1.7" " 7.8" " 6.5" " 8.0" " 10.6" " -0.9"
## 2004 " 4.5" " 5.5" " 0.5" "-10.1" " -0.2" " -0.5" " 2.9" " 10.2"
## 2005 " -0.3" " 17.6" "-13.3" " 10.4" " 6.2" " 3.4" " 11.5" " 6.5"
## 2006 " 20.0" " -2.2" " 1.1" " 3.2" " 2.9" " 5.3" " 12.8" " 2.7"
## 2007 " 0.0" " -2.6" " 4.7" " 2.6" " 5.0" " 8.7" " 13.7" " 7.7"
## 2008 " 6.3" " 2.6" " 2.4" " -4.1" " 1.4" " 1.9" " 1.6" " 3.8"
## 2009 " -2.5" " -6.7" " 5.9" " -5.5" " 7.0" " -1.0" " 7.3" " -0.4"
## 2010 " 3.9" " 1.8" " 5.9" " -0.3" "-13.0" " 7.6" " 2.3" " -2.3"
## 2011 " 1.6" " 9.1" " -3.9" " 3.2" " -3.5" " -2.9" " -1.9" " 11.4"
## 2012 " 6.0" " 5.0" " 7.8" " -1.5" " 9.2" " -2.2" " 1.3" " -0.5"
## 2013 " -7.3" " 4.1" " 7.4" " 6.5" " -3.7" " -6.5" " 5.6" " -2.7"
## 2014 " 8.4" " 5.5" " -0.5" " 1.4" " 3.7" " 5.4" " 2.6" " 6.8"
## 2015 " 13.9" " -5.9" " 0.4" " -1.7" " 0.8" " 0.6" " 0.8" " 0.1"
## 2016 " 18.2" " 5.5" " -0.3" " 0.9" " -3.5" " 16.9" " 5.7" " 0.7"
## 2017 " 2.5" " 0.6" " 0.2" " 3.8" " 9.4" " 1.3" " 6.9" " 4.8"
## 2018 " 13.0" " -4.4" " 6.0" " -6.9" " 10.5" " 0.8" " -1.1" " 0.0"
## 2019 " 2.9" " -2.3" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 4.6" " 1.9" " 1.6" " 1.9" " 2.0" " 3.5" " 5.3" " 3.9"
## Sep Oct Nov Dec Year MaxDD
## 1997 " 8.0" " -4.3" " 1.4" " 4.7" " 23.6" "-13.4"
## 1998 " 20.5" " -2.6" " 5.0" " 7.7" " 89.8" "-10.7"
## 1999 " 6.8" " 2.0" " 1.8" " 21.9" " 61.4" "-17.4"
## 2000 " -7.8" " 5.6" " 14.7" " 14.0" " 73.4" "-10.4"
## 2001 " -3.1" " 6.5" " -5.2" " -1.5" " 17.6" "-12.4"
## 2002 " 8.6" " -3.3" " -4.9" " -3.4" " 40.1" "-11.6"
## 2003 " 9.6" " 20.4" " 1.6" " 10.2" "100.6" "-13.3"
## 2004 " 12.2" " 4.6" " 17.0" " 8.0" " 66.5" "-21.0"
## 2005 " 7.7" " -1.3" " 7.8" " 6.0" " 77.7" "-18.1"
## 2006 " 0.3" " 9.4" " 8.2" " 5.2" " 92.1" " -7.4"
## 2007 " 4.1" " 7.7" " -5.2" " 0.0" " 55.1" "-13.1"
## 2008 " -0.8" " 6.5" " 6.4" " 8.2" " 41.7" "-10.8"
## 2009 " 4.0" " -2.3" " 4.9" " 1.9" " 11.9" "-10.2"
## 2010 " -0.1" " 3.8" " -3.9" " 11.9" " 16.4" "-20.3"
## 2011 " 3.5" " -2.8" " -0.1" " 4.3" " 18.0" "-17.4"
## 2012 " 4.2" " -0.7" " 3.8" " 5.9" " 44.7" "-14.4"
## 2013 " 8.8" " 4.6" " 5.0" " 0.8" " 22.9" "-18.3"
## 2014 "-11.3" " 6.7" " 4.6" " 0.2" " 37.2" "-14.9"
## 2015 " 5.2" " -2.0" " -0.7" " -6.2" " 4.0" "-11.5"
## 2016 " 3.3" " 0.3" "-13.6" " 1.7" " 37.0" "-21.6"
## 2017 " -1.1" " 5.2" " -0.7" " 4.1" " 43.3" " -7.3"
## 2018 " -7.7" "-11.0" " 11.1" " 16.7" " 24.9" "-24.5"
## 2019 " NA" " NA" " NA" " NA" " 0.5" " -8.1"
## Avg " 3.4" " 2.4" " 2.7" " 5.6" " 43.5" "-14.3"

|
VOO
|
VEA
|
BND
|
VWO
|
LQD
|
TLT
|
SHY
|
IEF
|
|
1.4411161
|
-6.129696
|
-5.79439910
|
0.8325736
|
-9.6170173
|
-16.6506561
|
-1.2243214
|
-8.4276753
|
|
-1.8040397
|
3.481770
|
0.26615230
|
11.4826221
|
-1.3618504
|
5.4113513
|
0.3462248
|
0.2991608
|
|
0.5011327
|
4.629438
|
-4.79165139
|
-10.9361755
|
-9.6270572
|
-10.2148574
|
-1.2248742
|
-7.2419370
|
|
12.6806324
|
-2.250500
|
1.90870444
|
-8.7316456
|
-0.5229873
|
7.7795944
|
1.3418317
|
2.1142324
|
|
10.7917823
|
-6.443910
|
-1.31090452
|
-26.1263588
|
-5.6410302
|
0.8941974
|
0.2723800
|
-1.0280292
|
|
21.9618618
|
5.058749
|
-0.03069593
|
4.1632189
|
4.1475689
|
-3.9690612
|
0.1900816
|
-1.8542951
|
|
26.2515496
|
-6.074573
|
2.83084992
|
-23.4719600
|
0.6413530
|
5.3073475
|
1.6653924
|
3.6709842
|
|
19.3806070
|
3.713579
|
-1.95619731
|
-12.2184784
|
0.1400473
|
-13.7337829
|
-0.1757681
|
-5.5221576
|
|
-20.2834946
|
-42.434305
|
-3.94247221
|
-46.7686752
|
-9.7674830
|
-16.5195044
|
1.1823402
|
-2.1307491
|
|
4.0609263
|
-12.266966
|
0.67987604
|
3.1588462
|
-5.5557919
|
-1.7784239
|
2.0644081
|
3.6413296
|
|
-44.6349654
|
-40.213461
|
8.09367262
|
-24.1795863
|
4.3604102
|
22.4684294
|
4.6658163
|
14.0645718
|
|
21.8549778
|
17.221304
|
9.00435470
|
35.1051793
|
16.5087082
|
11.4672715
|
3.5333951
|
9.9399542
|
|
8.9020455
|
2.445738
|
5.17029938
|
-6.2088926
|
7.1523703
|
9.6966141
|
2.2563744
|
5.3150243
|
|
|
symbol
|
weight
|
entry.date
|
exit.date
|
nhold
|
entry.price
|
exit.price
|
return
|
|
[251,]
|
SHY
|
3889.9
|
2018-01-31
|
2018-02-28
|
28
|
82.03
|
81.95
|
-3.91
|
|
[252,]
|
SHY
|
2401.5
|
2018-02-28
|
2018-03-29
|
29
|
81.95
|
82.15
|
5.93
|
|
[253,]
|
SHY
|
2993.7
|
2018-03-29
|
2018-04-30
|
32
|
82.15
|
81.96
|
-7.03
|
|
[254,]
|
SHY
|
3000.3
|
2018-04-30
|
2018-05-31
|
31
|
81.96
|
82.25
|
10.57
|
|
[255,]
|
IEF
|
434.4
|
2018-05-31
|
2018-06-29
|
29
|
100.66
|
100.86
|
0.86
|
|
[256,]
|
SHY
|
1845.7
|
2018-06-29
|
2018-07-31
|
32
|
82.28
|
82.23
|
-1.11
|
|
[257,]
|
LQD
|
545.7
|
2018-07-31
|
2018-08-31
|
31
|
113.28
|
113.3
|
0.11
|
|
[258,]
|
IEF
|
650.2
|
2018-08-31
|
2018-09-28
|
28
|
101.34
|
100.12
|
-7.84
|
|
[259,]
|
LQD
|
552.8
|
2018-09-28
|
2018-10-31
|
33
|
113.14
|
110.82
|
-11.33
|
|
[260,]
|
SHY
|
2819.5
|
2018-10-31
|
2018-11-30
|
30
|
82.52
|
82.84
|
10.74
|
|
[261,]
|
IEF
|
566.7
|
2018-11-30
|
2018-12-31
|
31
|
101.15
|
103.98
|
15.89
|
|
[262,]
|
IEF
|
477
|
2018-12-31
|
2019-01-31
|
31
|
103.98
|
104.66
|
3.11
|
|
[263,]
|
VWO
|
106.7
|
2019-01-31
|
2019-02-15
|
15
|
41.78
|
40.86
|
-2.35
|
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
70.7
|
Win.Percent.Day
|
50.9
|
|
Cagr
|
44.1
|
Avg.Trade
|
3.2
|
Best.Day
|
8.6
|
|
Sharpe
|
1.7
|
Avg.Win
|
6.1
|
Worst.Day
|
-8.6
|
|
DVR
|
1.22
|
Avg.Loss
|
-3.7
|
Win.Percent.Month
|
70
|
|
Volatility
|
21.97
|
Best.Trade
|
26.04
|
Best.Month
|
28.6
|
|
MaxDD
|
-24.49
|
Worst.Trade
|
-14.24
|
Worst.Month
|
-13.6
|
|
AvgDD
|
-3.04
|
WinLoss.Ratio
|
1.67
|
Win.Percent.Year
|
95.7
|
|
VaR
|
-2.07
|
Avg.Len
|
20.94
|
Best.Year
|
100.6
|
|
CVaR
|
-3.04
|
Num.Trades
|
263
|
Worst.Year
|
0.5
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
67.2086225794666
|
|
|
|
|
Max leverage 3
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-02-15 0 0 0 106.67 0 0 0 0
##
## Performance summary :
## CAGR Best Worst
## 29.7 7.1 -8.6
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
71.1
|
Win.Percent.Day
|
50.9
|
|
Cagr
|
31.23
|
Avg.Trade
|
2.9
|
Best.Day
|
7.1
|
|
Sharpe
|
1.54
|
Avg.Win
|
5.5
|
Worst.Day
|
-8.6
|
|
DVR
|
1.24
|
Avg.Loss
|
-3.5
|
Win.Percent.Month
|
70
|
|
Volatility
|
17.99
|
Best.Trade
|
21.29
|
Best.Month
|
21.9
|
|
MaxDD
|
-20.29
|
Worst.Trade
|
-13.53
|
Worst.Month
|
-13.3
|
|
AvgDD
|
-2.7
|
WinLoss.Ratio
|
1.58
|
Win.Percent.Year
|
91.3
|
|
VaR
|
-1.72
|
Avg.Len
|
25.26
|
Best.Year
|
103.6
|
|
CVaR
|
-2.66
|
Num.Trades
|
218
|
Worst.Year
|
-0.5
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
67.025940811107
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1997 " NA" " NA" " NA" " NA" " 2.6" " 5.2" " 12.0" " -6.8"
## 1998 " 3.4" " -0.6" " 7.6" " 1.7" " -2.7" " 3.9" " -2.3" " 9.8"
## 1999 " 4.3" " -8.9" " 2.1" " 20.6" " -4.6" " 0.5" " 0.4" " 0.4"
## 2000 " -0.7" " 2.3" " 2.1" " -2.3" " 0.9" " 3.9" " 2.6" " 4.4"
## 2001 " 3.9" " 2.5" " -0.3" " -3.5" " 1.3" " 1.0" " 10.4" " 5.0"
## 2002 " 2.8" " 2.5" " -8.3" " 4.7" " 3.1" " 5.2" " 7.4" " 6.7"
## 2003 " -2.6" " 5.4" " -1.3" " 7.2" " 6.5" " 8.0" " 10.6" " -0.1"
## 2004 " 4.5" " 5.5" " 0.5" "-10.1" " 0.0" " -0.1" " 0.8" " 9.4"
## 2005 " -0.3" " 17.6" "-13.3" " 1.6" " 5.6" " 3.4" " 11.5" " 4.5"
## 2006 " 20.0" " -2.2" " 1.1" " 0.7" " 0.5" " 0.7" " 2.0" " 2.7"
## 2007 " 0.0" " -2.6" " 4.7" " 2.6" " 5.0" " 1.4" " 2.7" " 6.9"
## 2008 " 6.3" " 2.6" " 2.4" " -4.1" " 1.4" " 0.7" " 1.6" " 3.8"
## 2009 " -2.5" " -6.7" " 5.9" " -5.5" " 7.0" " -1.0" " 7.3" " -0.4"
## 2010 " 3.7" " 1.5" " 5.9" " -0.3" "-13.0" " 7.6" " 2.3" " -2.3"
## 2011 " 0.4" " 9.1" " -3.9" " 3.2" " -3.5" " -2.9" " -1.9" " 11.4"
## 2012 " 6.0" " 5.0" " 7.8" " -1.5" " 8.8" " -1.3" " 1.3" " -0.2"
## 2013 " -3.9" " 0.2" " 7.4" " 4.6" " -3.7" " -0.3" " 0.5" " -0.3"
## 2014 " 5.7" " 3.4" " -0.5" " 1.4" " 3.7" " 5.4" " 2.6" " 6.8"
## 2015 " 13.3" " -5.9" " 0.4" " -1.7" " 0.1" " 0.1" " 0.1" " 0.1"
## 2016 " 2.0" " 4.4" " -0.3" " 0.9" " -3.5" " 9.5" " 3.9" " 0.7"
## 2017 " 0.3" " 0.1" " 0.2" " 0.6" " 9.4" " 1.3" " 6.9" " 4.8"
## 2018 " 13.0" " -0.3" " 0.7" " -0.7" " 1.1" " 0.6" " -0.2" " 0.0"
## 2019 " 1.9" " -2.3" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 3.7" " 1.5" " 1.0" " 1.0" " 1.2" " 2.4" " 3.8" " 3.1"
## Sep Oct Nov Dec Year MaxDD
## 1997 " 2.3" " -4.3" " 1.4" " 4.7" " 17.1" "-14.1"
## 1998 " 11.2" " -2.5" " 5.0" " 7.7" " 49.7" "-10.4"
## 1999 " 2.5" " 0.8" " 1.8" " 21.9" " 45.0" "-12.1"
## 2000 " -7.8" " 2.7" " 6.5" " 7.3" " 23.3" " -9.2"
## 2001 " -3.1" " 6.5" " -5.2" " -0.8" " 17.8" "-12.2"
## 2002 " 8.6" " -3.3" " -4.9" " -3.4" " 21.3" "-11.6"
## 2003 " 9.6" " 20.4" " 1.6" " 10.2" "103.6" "-10.6"
## 2004 " 12.2" " 4.6" " 17.0" " 8.0" " 63.0" "-15.7"
## 2005 " 7.7" " -0.2" " 1.2" " 6.0" " 51.3" "-18.1"
## 2006 " 0.3" " 9.4" " 8.2" " 5.2" " 58.2" " -6.2"
## 2007 " 4.1" " 7.7" " -5.2" " 0.0" " 29.7" "-13.1"
## 2008 " -0.8" " 3.3" " 3.3" " 8.2" " 31.9" " -9.5"
## 2009 " 4.0" " -2.3" " 4.9" " 1.9" " 11.9" "-10.2"
## 2010 " -0.1" " 3.8" " -3.9" " 11.9" " 15.9" "-20.3"
## 2011 " 3.5" " -2.8" " -0.1" " 4.3" " 16.5" "-17.4"
## 2012 " 3.3" " -0.7" " 3.8" " 5.9" " 44.5" " -8.7"
## 2013 " 0.7" " 4.6" " 5.0" " 0.6" " 15.7" " -8.2"
## 2014 "-11.3" " 0.8" " 3.9" " 0.3" " 23.1" "-14.9"
## 2015 " 4.7" " -2.0" " -0.5" " -3.3" " 4.3" "-11.2"
## 2016 " 3.3" " 0.3" " -1.4" " 0.2" " 21.3" " -9.6"
## 2017 " -1.1" " 5.2" " -0.7" " 3.8" " 34.7" " -7.1"
## 2018 " -3.6" " -6.1" " 1.1" " 8.6" " 13.7" "-11.7"
## 2019 " NA" " NA" " NA" " NA" " -0.5" " -5.1"
## Avg " 2.3" " 2.1" " 1.9" " 5.0" " 31.0" "-11.6"

|
VOO
|
VEA
|
BND
|
VWO
|
LQD
|
TLT
|
SHY
|
IEF
|
|
1.4411161
|
-6.129696
|
-5.79439910
|
0.8325736
|
-9.6170173
|
-16.6506561
|
-1.2243214
|
-8.4276753
|
|
-1.8040397
|
3.481770
|
0.26615230
|
11.4826221
|
-1.3618504
|
5.4113513
|
0.3462248
|
0.2991608
|
|
0.5011327
|
4.629438
|
-4.79165139
|
-10.9361755
|
-9.6270572
|
-10.2148574
|
-1.2248742
|
-7.2419370
|
|
12.6806324
|
-2.250500
|
1.90870444
|
-8.7316456
|
-0.5229873
|
7.7795944
|
1.3418317
|
2.1142324
|
|
10.7917823
|
-6.443910
|
-1.31090452
|
-26.1263588
|
-5.6410302
|
0.8941974
|
0.2723800
|
-1.0280292
|
|
21.9618618
|
5.058749
|
-0.03069593
|
4.1632189
|
4.1475689
|
-3.9690612
|
0.1900816
|
-1.8542951
|
|
26.2515496
|
-6.074573
|
2.83084992
|
-23.4719600
|
0.6413530
|
5.3073475
|
1.6653924
|
3.6709842
|
|
19.3806070
|
3.713579
|
-1.95619731
|
-12.2184784
|
0.1400473
|
-13.7337829
|
-0.1757681
|
-5.5221576
|
|
-20.2834946
|
-42.434305
|
-3.94247221
|
-46.7686752
|
-9.7674830
|
-16.5195044
|
1.1823402
|
-2.1307491
|
|
4.0609263
|
-12.266966
|
0.67987604
|
3.1588462
|
-5.5557919
|
-1.7784239
|
2.0644081
|
3.6413296
|
|
-44.6349654
|
-40.213461
|
8.09367262
|
-24.1795863
|
4.3604102
|
22.4684294
|
4.6658163
|
14.0645718
|
|
21.8549778
|
17.221304
|
9.00435470
|
35.1051793
|
16.5087082
|
11.4672715
|
3.5333951
|
9.9399542
|
|
8.9020455
|
2.445738
|
5.17029938
|
-6.2088926
|
7.1523703
|
9.6966141
|
2.2563744
|
5.3150243
|
|
|
symbol
|
weight
|
entry.date
|
exit.date
|
nhold
|
entry.price
|
exit.price
|
return
|
|
[206,]
|
VEA
|
289.2
|
2017-09-29
|
2017-10-31
|
32
|
41.7
|
42.44
|
5.13
|
|
[207,]
|
VWO
|
189
|
2017-10-31
|
2017-11-30
|
30
|
43.25
|
43.1
|
-0.64
|
|
[208,]
|
VOO
|
300
|
2017-11-30
|
2017-12-29
|
29
|
237.59
|
240.64
|
3.85
|
|
[209,]
|
VWO
|
149.4
|
2017-12-29
|
2018-01-31
|
33
|
44.7
|
48.52
|
12.79
|
|
[210,]
|
SHY
|
300
|
2018-01-31
|
2018-05-31
|
120
|
82.03
|
82.25
|
0.79
|
|
[211,]
|
IEF
|
300
|
2018-05-31
|
2018-06-29
|
29
|
100.66
|
100.86
|
0.59
|
|
[212,]
|
SHY
|
300
|
2018-06-29
|
2018-07-31
|
32
|
82.28
|
82.23
|
-0.18
|
|
[213,]
|
LQD
|
300
|
2018-07-31
|
2018-08-31
|
31
|
113.28
|
113.3
|
0.06
|
|
[214,]
|
IEF
|
300
|
2018-08-31
|
2018-09-28
|
28
|
101.34
|
100.12
|
-3.62
|
|
[215,]
|
LQD
|
300
|
2018-09-28
|
2018-10-31
|
33
|
113.14
|
110.82
|
-6.15
|
|
[216,]
|
SHY
|
300
|
2018-10-31
|
2018-11-30
|
30
|
82.52
|
82.84
|
1.14
|
|
[217,]
|
IEF
|
300
|
2018-11-30
|
2019-01-31
|
62
|
101.15
|
104.66
|
10.43
|
|
[218,]
|
VWO
|
106.7
|
2019-01-31
|
2019-02-15
|
15
|
41.78
|
40.86
|
-2.35
|
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
71.1
|
Win.Percent.Day
|
50.9
|
|
Cagr
|
31.23
|
Avg.Trade
|
2.9
|
Best.Day
|
7.1
|
|
Sharpe
|
1.54
|
Avg.Win
|
5.5
|
Worst.Day
|
-8.6
|
|
DVR
|
1.24
|
Avg.Loss
|
-3.5
|
Win.Percent.Month
|
70
|
|
Volatility
|
17.99
|
Best.Trade
|
21.29
|
Best.Month
|
21.9
|
|
MaxDD
|
-20.29
|
Worst.Trade
|
-13.53
|
Worst.Month
|
-13.3
|
|
AvgDD
|
-2.7
|
WinLoss.Ratio
|
1.58
|
Win.Percent.Year
|
91.3
|
|
VaR
|
-1.72
|
Avg.Len
|
25.26
|
Best.Year
|
103.6
|
|
CVaR
|
-2.66
|
Num.Trades
|
218
|
Worst.Year
|
-0.5
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
67.025940811107
|
|
|
|
|
Remove BND from investible
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-02-15 0 0 0 106.67 0 0 0 0
##
## Performance summary :
## CAGR Best Worst
## 29.2 7.1 -8.6
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
70.6
|
Win.Percent.Day
|
50.8
|
|
Cagr
|
30.76
|
Avg.Trade
|
2.9
|
Best.Day
|
7.1
|
|
Sharpe
|
1.52
|
Avg.Win
|
5.5
|
Worst.Day
|
-8.6
|
|
DVR
|
1.22
|
Avg.Loss
|
-3.5
|
Win.Percent.Month
|
69.6
|
|
Volatility
|
17.99
|
Best.Trade
|
21.29
|
Best.Month
|
21.9
|
|
MaxDD
|
-20.29
|
Worst.Trade
|
-13.53
|
Worst.Month
|
-13.3
|
|
AvgDD
|
-2.73
|
WinLoss.Ratio
|
1.58
|
Win.Percent.Year
|
91.3
|
|
VaR
|
-1.73
|
Avg.Len
|
25.26
|
Best.Year
|
103.6
|
|
CVaR
|
-2.66
|
Num.Trades
|
218
|
Worst.Year
|
-0.5
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
66.7701863354037
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1997 " NA" " NA" " NA" " NA" " 2.6" " 5.2" " 12.0" " -6.8"
## 1998 " 3.4" " -0.6" " 7.6" " 1.7" " -2.7" " 3.9" " -2.3" " 9.8"
## 1999 " 4.3" " -8.9" " 2.1" " 20.6" " -4.6" " 0.5" " 0.4" " 0.4"
## 2000 " -0.7" " 2.3" " 2.1" " -2.3" " 0.9" " 3.9" " -5.0" " 4.4"
## 2001 " 3.9" " 2.5" " -0.3" " -3.5" " 1.3" " 1.0" " 10.4" " 5.0"
## 2002 " 2.8" " 2.5" " -8.3" " 4.7" " 3.1" " 5.2" " 7.4" " 6.7"
## 2003 " -2.6" " 5.4" " -1.3" " 7.2" " 6.5" " 8.0" " 10.6" " -0.1"
## 2004 " 4.5" " 5.5" " 0.5" "-10.1" " 0.0" " -0.1" " 0.8" " 9.4"
## 2005 " -0.3" " 17.6" "-13.3" " 1.6" " 5.6" " 3.4" " 11.5" " 4.5"
## 2006 " 20.0" " -2.2" " 1.1" " 0.7" " 0.5" " 0.7" " 2.0" " 2.7"
## 2007 " 0.0" " -2.6" " 4.7" " 2.6" " 5.0" " 1.4" " 2.7" " 6.9"
## 2008 " 6.3" " 2.6" " 2.4" " -4.1" " 1.4" " 0.7" " 1.6" " 3.8"
## 2009 " -2.5" " -6.7" " 5.9" " -5.5" " 7.0" " -1.0" " 7.3" " -0.4"
## 2010 " 3.7" " 1.5" " 5.9" " -0.3" "-13.0" " 7.6" " 2.3" " -2.3"
## 2011 " 0.4" " 9.1" " -3.9" " 3.2" " -3.5" " -2.9" " -1.9" " 11.4"
## 2012 " 6.0" " 5.0" " 7.8" " -1.5" " 8.8" " -1.3" " 1.3" " -0.2"
## 2013 " -3.9" " 0.2" " 7.4" " 4.6" " -3.7" " -0.3" " 0.5" " -0.3"
## 2014 " 5.7" " 3.4" " -0.5" " 1.4" " 3.7" " 5.4" " 2.6" " 6.8"
## 2015 " 13.3" " -5.9" " 0.4" " -1.7" " 0.1" " 0.1" " 0.1" " 0.1"
## 2016 " 2.0" " 4.4" " -0.3" " 0.9" " -3.5" " 9.5" " 3.9" " 0.7"
## 2017 " 0.3" " 0.1" " 0.2" " 0.6" " 9.4" " 1.3" " 6.9" " 4.8"
## 2018 " 13.0" " -0.3" " 0.7" " -0.7" " 1.1" " 0.6" " -0.2" " 0.0"
## 2019 " 1.9" " -2.3" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 3.7" " 1.5" " 1.0" " 1.0" " 1.2" " 2.4" " 3.4" " 3.1"
## Sep Oct Nov Dec Year MaxDD
## 1997 " 2.3" " -4.3" " 1.4" " 4.7" " 17.1" "-14.1"
## 1998 " 11.2" " -2.5" " 5.0" " 7.7" " 49.7" "-10.4"
## 1999 " 2.5" " 0.8" " 1.8" " 21.9" " 45.0" "-12.1"
## 2000 " -7.8" " 2.7" " 6.5" " 7.3" " 14.2" "-11.2"
## 2001 " -3.1" " 6.5" " -5.2" " -0.8" " 17.8" "-12.2"
## 2002 " 8.6" " -3.3" " -4.9" " -3.4" " 21.3" "-11.6"
## 2003 " 9.6" " 20.4" " 1.6" " 10.2" "103.6" "-10.6"
## 2004 " 12.2" " 4.6" " 17.0" " 8.0" " 63.0" "-15.7"
## 2005 " 7.7" " -0.2" " 1.2" " 6.0" " 51.3" "-18.1"
## 2006 " 0.3" " 9.4" " 8.2" " 5.2" " 58.2" " -6.2"
## 2007 " 4.1" " 7.7" " -5.2" " 0.0" " 29.7" "-13.1"
## 2008 " -0.8" " 3.3" " 3.3" " 8.2" " 31.9" " -9.5"
## 2009 " 4.0" " -2.3" " 4.9" " 1.9" " 11.9" "-10.2"
## 2010 " -0.1" " 3.8" " -3.9" " 11.9" " 15.9" "-20.3"
## 2011 " 3.5" " -2.8" " -0.1" " 4.3" " 16.5" "-17.4"
## 2012 " 3.3" " -0.7" " 3.8" " 5.9" " 44.5" " -8.7"
## 2013 " 0.7" " 4.6" " 5.0" " 0.6" " 15.7" " -8.2"
## 2014 "-11.3" " 0.8" " 3.9" " 0.3" " 23.1" "-14.9"
## 2015 " 4.7" " -2.0" " -0.5" " -3.3" " 4.3" "-11.2"
## 2016 " 3.3" " 0.3" " -1.4" " 0.2" " 21.3" " -9.6"
## 2017 " -1.1" " 5.2" " -0.7" " 3.8" " 34.7" " -7.1"
## 2018 " -3.6" " -6.1" " 1.1" " 8.6" " 13.7" "-11.7"
## 2019 " NA" " NA" " NA" " NA" " -0.5" " -5.1"
## Avg " 2.3" " 2.1" " 1.9" " 5.0" " 30.6" "-11.7"

|
VOO
|
VEA
|
BND
|
VWO
|
LQD
|
TLT
|
SHY
|
IEF
|
|
1.4411161
|
-6.129696
|
-5.79439910
|
0.8325736
|
-9.6170173
|
-16.6506561
|
-1.2243214
|
-8.4276753
|
|
-1.8040397
|
3.481770
|
0.26615230
|
11.4826221
|
-1.3618504
|
5.4113513
|
0.3462248
|
0.2991608
|
|
0.5011327
|
4.629438
|
-4.79165139
|
-10.9361755
|
-9.6270572
|
-10.2148574
|
-1.2248742
|
-7.2419370
|
|
12.6806324
|
-2.250500
|
1.90870444
|
-8.7316456
|
-0.5229873
|
7.7795944
|
1.3418317
|
2.1142324
|
|
10.7917823
|
-6.443910
|
-1.31090452
|
-26.1263588
|
-5.6410302
|
0.8941974
|
0.2723800
|
-1.0280292
|
|
21.9618618
|
5.058749
|
-0.03069593
|
4.1632189
|
4.1475689
|
-3.9690612
|
0.1900816
|
-1.8542951
|
|
26.2515496
|
-6.074573
|
2.83084992
|
-23.4719600
|
0.6413530
|
5.3073475
|
1.6653924
|
3.6709842
|
|
19.3806070
|
3.713579
|
-1.95619731
|
-12.2184784
|
0.1400473
|
-13.7337829
|
-0.1757681
|
-5.5221576
|
|
-20.2834946
|
-42.434305
|
-3.94247221
|
-46.7686752
|
-9.7674830
|
-16.5195044
|
1.1823402
|
-2.1307491
|
|
4.0609263
|
-12.266966
|
0.67987604
|
3.1588462
|
-5.5557919
|
-1.7784239
|
2.0644081
|
3.6413296
|
|
-44.6349654
|
-40.213461
|
8.09367262
|
-24.1795863
|
4.3604102
|
22.4684294
|
4.6658163
|
14.0645718
|
|
21.8549778
|
17.221304
|
9.00435470
|
35.1051793
|
16.5087082
|
11.4672715
|
3.5333951
|
9.9399542
|
|
8.9020455
|
2.445738
|
5.17029938
|
-6.2088926
|
7.1523703
|
9.6966141
|
2.2563744
|
5.3150243
|
|
|
symbol
|
weight
|
entry.date
|
exit.date
|
nhold
|
entry.price
|
exit.price
|
return
|
|
[206,]
|
VEA
|
289.2
|
2017-09-29
|
2017-10-31
|
32
|
41.7
|
42.44
|
5.13
|
|
[207,]
|
VWO
|
189
|
2017-10-31
|
2017-11-30
|
30
|
43.25
|
43.1
|
-0.64
|
|
[208,]
|
VOO
|
300
|
2017-11-30
|
2017-12-29
|
29
|
237.59
|
240.64
|
3.85
|
|
[209,]
|
VWO
|
149.4
|
2017-12-29
|
2018-01-31
|
33
|
44.7
|
48.52
|
12.79
|
|
[210,]
|
SHY
|
300
|
2018-01-31
|
2018-05-31
|
120
|
82.03
|
82.25
|
0.79
|
|
[211,]
|
IEF
|
300
|
2018-05-31
|
2018-06-29
|
29
|
100.66
|
100.86
|
0.59
|
|
[212,]
|
SHY
|
300
|
2018-06-29
|
2018-07-31
|
32
|
82.28
|
82.23
|
-0.18
|
|
[213,]
|
LQD
|
300
|
2018-07-31
|
2018-08-31
|
31
|
113.28
|
113.3
|
0.06
|
|
[214,]
|
IEF
|
300
|
2018-08-31
|
2018-09-28
|
28
|
101.34
|
100.12
|
-3.62
|
|
[215,]
|
LQD
|
300
|
2018-09-28
|
2018-10-31
|
33
|
113.14
|
110.82
|
-6.15
|
|
[216,]
|
SHY
|
300
|
2018-10-31
|
2018-11-30
|
30
|
82.52
|
82.84
|
1.14
|
|
[217,]
|
IEF
|
300
|
2018-11-30
|
2019-01-31
|
62
|
101.15
|
104.66
|
10.43
|
|
[218,]
|
VWO
|
106.7
|
2019-01-31
|
2019-02-15
|
15
|
41.78
|
40.86
|
-2.35
|
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
70.6
|
Win.Percent.Day
|
50.8
|
|
Cagr
|
30.76
|
Avg.Trade
|
2.9
|
Best.Day
|
7.1
|
|
Sharpe
|
1.52
|
Avg.Win
|
5.5
|
Worst.Day
|
-8.6
|
|
DVR
|
1.22
|
Avg.Loss
|
-3.5
|
Win.Percent.Month
|
69.6
|
|
Volatility
|
17.99
|
Best.Trade
|
21.29
|
Best.Month
|
21.9
|
|
MaxDD
|
-20.29
|
Worst.Trade
|
-13.53
|
Worst.Month
|
-13.3
|
|
AvgDD
|
-2.73
|
WinLoss.Ratio
|
1.58
|
Win.Percent.Year
|
91.3
|
|
VaR
|
-1.73
|
Avg.Len
|
25.26
|
Best.Year
|
103.6
|
|
CVaR
|
-2.66
|
Num.Trades
|
218
|
Worst.Year
|
-0.5
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
66.7701863354037
|
|
|
|
|
Latest version with leverage rounding
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-02-15 0 0 0 100 0 0 0 0
##
## Performance summary :
## CAGR Best Worst
## 30.6 6.9 -7.3
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
69.5
|
Win.Percent.Day
|
51.7
|
|
Cagr
|
32.21
|
Avg.Trade
|
4.3
|
Best.Day
|
6.9
|
|
Sharpe
|
1.5
|
Avg.Win
|
7.6
|
Worst.Day
|
-7.3
|
|
DVR
|
1.25
|
Avg.Loss
|
-3.5
|
Win.Percent.Month
|
65.8
|
|
Volatility
|
19.09
|
Best.Trade
|
24.06
|
Best.Month
|
23.8
|
|
MaxDD
|
-22.75
|
Worst.Trade
|
-11.99
|
Worst.Month
|
-13.3
|
|
AvgDD
|
-2.89
|
WinLoss.Ratio
|
2.21
|
Win.Percent.Year
|
91.3
|
|
VaR
|
-1.82
|
Avg.Len
|
35.76
|
Best.Year
|
98.7
|
|
CVaR
|
-2.7
|
Num.Trades
|
154
|
Worst.Year
|
-0.3
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
65.3206650831354
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1997 " NA" " NA" " NA" " NA" " 2.5" " 4.5" " 12.1" " -5.6"
## 1998 " 5.2" " -1.2" " 7.7" " 1.9" " -2.6" " 2.9" " 0.7" " 9.8"
## 1999 " 4.2" " -9.0" " 1.7" " 23.8" " -4.2" " -0.9" " -1.4" " -0.3"
## 2000 " -1.4" " 3.0" " 6.2" " -3.0" " 0.4" " 6.7" " -4.5" " 4.9"
## 2001 " 3.9" " 3.2" " 1.5" " -3.5" " 1.6" " 1.2" " 8.1" " 3.3"
## 2002 " 2.9" " 3.9" " -6.8" " 8.0" " 3.1" " 5.2" " 7.4" " 6.3"
## 2003 " -2.4" " 6.7" " -1.3" " 0.4" " 6.2" " 8.9" " 10.6" " 1.4"
## 2004 " 4.6" " 6.3" " 0.5" "-11.7" " -1.7" " 1.8" " 3.6" " 8.6"
## 2005 " -0.4" " 18.4" "-13.3" " 7.7" " 5.6" " 3.5" " 10.6" " 6.0"
## 2006 " 17.7" " -2.1" " 1.2" " -1.9" " -0.4" " 0.6" " 5.1" " 2.5"
## 2007 " 0.0" " -2.3" " 4.1" " 1.9" " 4.6" " -1.5" " 6.8" " 6.9"
## 2008 " 6.8" " 2.4" " 2.6" " -3.6" " 1.8" " 3.3" " 1.7" " 3.8"
## 2009 " -5.8" " -1.6" " 6.6" " -5.5" " 8.8" " -1.1" " 5.4" " -0.3"
## 2010 " 7.2" " 0.9" " 4.0" " -0.2" "-12.0" " 7.7" " 2.2" " -2.6"
## 2011 " -0.1" " 8.7" " -3.9" " 3.4" " -4.1" " -2.6" " -2.4" " 11.7"
## 2012 " 2.5" " 5.4" " 8.2" " -1.4" " 8.8" " -1.3" " 1.2" " -0.4"
## 2013 " -3.9" " 3.4" " 7.3" " 4.6" " -4.5" " -7.6" " -1.0" " -3.6"
## 2014 " 9.4" " 1.0" " -0.6" " 1.3" " 3.4" " 4.8" " 2.6" " 7.7"
## 2015 " 13.3" " -6.1" " 2.1" " -1.6" " -1.4" " -5.0" " 3.8" " 0.1"
## 2016 " 10.3" " 4.4" " -0.3" " 1.0" " -3.2" " 9.4" " 0.7" " 0.8"
## 2017 " 0.6" " 2.1" " 0.2" " 3.3" " 8.6" " 1.2" " 7.3" " 4.5"
## 2018 " 13.0" " -2.8" " 3.5" " -3.8" " 2.9" " 0.6" " -1.6" " 3.0"
## 2019 " 1.9" " -2.2" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 4.1" " 1.9" " 1.5" " 1.0" " 1.1" " 1.9" " 3.6" " 3.1"
## Sep Oct Nov Dec Year MaxDD
## 1997 " 4.4" " -3.4" " 0.9" " 3.3" " 19.2" "-10.8"
## 1998 " 11.2" " -2.5" " 6.1" " 8.7" " 57.8" "-10.4"
## 1999 " 3.2" " 0.3" " 2.0" " 22.1" " 44.0" "-14.7"
## 2000 " -7.9" " 2.7" " 6.5" " 7.3" " 21.4" "-10.5"
## 2001 " 7.2" " 6.7" " -7.0" " -3.0" " 24.3" "-14.5"
## 2002 " 7.8" " -3.2" " -5.3" " -4.0" " 26.2" "-12.4"
## 2003 " 10.1" " 18.8" " 1.6" " 11.9" " 98.7" "-10.6"
## 2004 " 11.5" " 4.5" " 15.6" " 8.1" " 61.7" "-21.3"
## 2005 " 8.2" " -3.7" " 1.8" " 6.5" " 59.3" "-18.1"
## 2006 " 0.3" " 9.9" " 7.3" " 6.0" " 55.0" " -6.6"
## 2007 " 4.9" " 6.4" " -4.1" " 0.0" " 30.5" "-11.8"
## 2008 " -0.8" " -1.8" " 15.9" " 7.8" " 46.0" "-13.6"
## 2009 " 3.9" " -2.4" " 3.6" " 1.6" " 12.7" " -9.1"
## 2010 " -0.1" " 3.1" " -4.4" " 10.5" " 15.4" "-18.3"
## 2011 " 3.3" " -2.6" " -0.1" " 4.0" " 14.8" "-17.5"
## 2012 " -1.1" " -0.9" " 4.0" " 6.4" " 35.3" " -9.5"
## 2013 " 5.5" " 4.8" " 4.5" " -6.2" " 1.8" "-22.7"
## 2014 "-10.6" " 4.6" " 3.9" " 0.3" " 29.7" "-14.0"
## 2015 " 4.7" " -2.0" " -1.3" " -1.5" " 3.8" "-14.6"
## 2016 " 2.9" " 0.3" "-12.3" " -0.4" " 12.3" "-18.3"
## 2017 " -1.1" " 5.3" " -0.8" " 3.8" " 40.7" " -7.4"
## 2018 " -3.6" " -1.0" " 4.0" " 8.6" " 23.7" " -9.7"
## 2019 " NA" " NA" " NA" " NA" " -0.3" " -5.1"
## Avg " 2.9" " 2.0" " 1.9" " 4.6" " 31.9" "-13.1"

|
VOO
|
VEA
|
BND
|
VWO
|
LQD
|
TLT
|
SHY
|
IEF
|
|
1.4411161
|
-6.129696
|
-5.79439910
|
0.8325736
|
-9.6170173
|
-16.6506561
|
-1.2243214
|
-8.4276753
|
|
-1.8040397
|
3.481770
|
0.26615230
|
11.4826221
|
-1.3618504
|
5.4113513
|
0.3462248
|
0.2991608
|
|
0.5011327
|
4.629438
|
-4.79165139
|
-10.9361755
|
-9.6270572
|
-10.2148574
|
-1.2248742
|
-7.2419370
|
|
12.6806324
|
-2.250500
|
1.90870444
|
-8.7316456
|
-0.5229873
|
7.7795944
|
1.3418317
|
2.1142324
|
|
10.7917823
|
-6.443910
|
-1.31090452
|
-26.1263588
|
-5.6410302
|
0.8941974
|
0.2723800
|
-1.0280292
|
|
21.9618618
|
5.058749
|
-0.03069593
|
4.1632189
|
4.1475689
|
-3.9690612
|
0.1900816
|
-1.8542951
|
|
26.2515496
|
-6.074573
|
2.83084992
|
-23.4719600
|
0.6413530
|
5.3073475
|
1.6653924
|
3.6709842
|
|
19.3806070
|
3.713579
|
-1.95619731
|
-12.2184784
|
0.1400473
|
-13.7337829
|
-0.1757681
|
-5.5221576
|
|
-20.2834946
|
-42.434305
|
-3.94247221
|
-46.7686752
|
-9.7674830
|
-16.5195044
|
1.1823402
|
-2.1307491
|
|
4.0609263
|
-12.266966
|
0.67987604
|
3.1588462
|
-5.5557919
|
-1.7784239
|
2.0644081
|
3.6413296
|
|
-44.6349654
|
-40.213461
|
8.09367262
|
-24.1795863
|
4.3604102
|
22.4684294
|
4.6658163
|
14.0645718
|
|
21.8549778
|
17.221304
|
9.00435470
|
35.1051793
|
16.5087082
|
11.4672715
|
3.5333951
|
9.9399542
|
|
8.9020455
|
2.445738
|
5.17029938
|
-6.2088926
|
7.1523703
|
9.6966141
|
2.2563744
|
5.3150243
|
|
|
symbol
|
weight
|
entry.date
|
exit.date
|
nhold
|
entry.price
|
exit.price
|
return
|
|
[142,]
|
VOO
|
300
|
2017-02-28
|
2017-03-31
|
31
|
208.93
|
209.21
|
0.4
|
|
[143,]
|
IEF
|
300
|
2017-03-31
|
2017-04-28
|
28
|
101.43
|
102.56
|
3.33
|
|
[144,]
|
VEA
|
250
|
2017-04-28
|
2017-05-31
|
33
|
37.99
|
39.28
|
8.53
|
|
[145,]
|
VEA
|
200
|
2017-05-31
|
2017-06-30
|
30
|
39.28
|
39.53
|
1.27
|
|
[146,]
|
VEA
|
250
|
2017-06-30
|
2017-07-31
|
31
|
39.53
|
40.67
|
7.2
|
|
[147,]
|
VWO
|
150
|
2017-07-31
|
2017-08-31
|
31
|
41.19
|
42.43
|
4.5
|
|
[148,]
|
VWO
|
200
|
2017-08-31
|
2017-09-29
|
29
|
42.43
|
42.22
|
-0.99
|
|
[149,]
|
VEA
|
300
|
2017-09-29
|
2017-10-31
|
32
|
41.7
|
42.44
|
5.32
|
|
[150,]
|
VWO
|
200
|
2017-10-31
|
2017-11-30
|
30
|
43.25
|
43.1
|
-0.67
|
|
[151,]
|
VOO
|
300
|
2017-11-30
|
2017-12-29
|
29
|
237.59
|
240.64
|
3.85
|
|
[152,]
|
VWO
|
150
|
2017-12-29
|
2018-01-31
|
33
|
44.7
|
48.52
|
12.84
|
|
[153,]
|
IEF
|
300
|
2018-01-31
|
2019-01-31
|
365
|
100.75
|
104.66
|
11.64
|
|
[154,]
|
VWO
|
100
|
2019-01-31
|
2019-02-15
|
15
|
41.78
|
40.86
|
-2.2
|
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
69.5
|
Win.Percent.Day
|
51.7
|
|
Cagr
|
32.21
|
Avg.Trade
|
4.3
|
Best.Day
|
6.9
|
|
Sharpe
|
1.5
|
Avg.Win
|
7.6
|
Worst.Day
|
-7.3
|
|
DVR
|
1.25
|
Avg.Loss
|
-3.5
|
Win.Percent.Month
|
65.8
|
|
Volatility
|
19.09
|
Best.Trade
|
24.06
|
Best.Month
|
23.8
|
|
MaxDD
|
-22.75
|
Worst.Trade
|
-11.99
|
Worst.Month
|
-13.3
|
|
AvgDD
|
-2.89
|
WinLoss.Ratio
|
2.21
|
Win.Percent.Year
|
91.3
|
|
VaR
|
-1.82
|
Avg.Len
|
35.76
|
Best.Year
|
98.7
|
|
CVaR
|
-2.7
|
Num.Trades
|
154
|
Worst.Year
|
-0.3
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
65.3206650831354
|
|
|
|
|
Latest version with leverage rounding and top 2 and just IEF
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-02-15 25 0 0 25 0 0 0 0
##
## Performance summary :
## CAGR Best Worst
## 19.5 6.9 -6.5
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
73.2
|
Win.Percent.Day
|
50.9
|
|
Cagr
|
20.5
|
Avg.Trade
|
1.6
|
Best.Day
|
6.9
|
|
Sharpe
|
1.45
|
Avg.Win
|
2.9
|
Worst.Day
|
-6.5
|
|
DVR
|
1.28
|
Avg.Loss
|
-1.9
|
Win.Percent.Month
|
70.7
|
|
Volatility
|
12.85
|
Best.Trade
|
20.85
|
Best.Month
|
13.3
|
|
MaxDD
|
-16.83
|
Worst.Trade
|
-10.37
|
Worst.Month
|
-9.1
|
|
AvgDD
|
-1.72
|
WinLoss.Ratio
|
1.54
|
Win.Percent.Year
|
95.7
|
|
VaR
|
-1.28
|
Avg.Len
|
29.8
|
Best.Year
|
50
|
|
CVaR
|
-1.87
|
Num.Trades
|
265
|
Worst.Year
|
1.5
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
66.9345999269273
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1997 " NA" " NA" " NA" " NA" " 2.4" " 3.8" " 4.0" " -6.8"
## 1998 " 3.4" " -0.5" " 3.1" " 0.7" " -1.2" " 4.1" " -2.3" " 9.8"
## 1999 " 0.8" " -9.1" " 2.1" " 6.6" " -2.9" " 0.5" " 0.4" " 0.4"
## 2000 " -0.7" " 2.3" " 2.1" " -2.7" " 0.9" " 3.9" " -2.4" " 4.4"
## 2001 " 3.9" " 2.3" " -0.3" " -3.5" " -0.5" " 1.0" " 9.9" " 5.4"
## 2002 " 0.2" " 2.4" " -7.9" " 4.7" " 3.1" " 5.2" " 7.4" " 6.3"
## 2003 " -2.6" " 5.0" " -1.3" " 7.2" " 2.8" " 3.2" " 3.8" " -0.1"
## 2004 " 2.0" " 2.8" " 0.3" " -3.8" " 0.0" " -0.1" " 0.8" " 9.4"
## 2005 " -0.9" " 6.8" " -4.9" " 1.6" " 5.6" " 0.9" " 4.9" " 4.5"
## 2006 " 7.8" " -0.8" " 1.5" " 0.7" " 0.5" " 0.7" " 2.0" " 1.5"
## 2007 " 0.7" " -0.5" " 2.2" " 1.5" " 2.8" " 1.4" " 2.7" " 6.9"
## 2008 " 6.8" " 2.4" " 2.6" " -3.6" " 0.8" " 0.7" " 1.7" " 3.8"
## 2009 " -2.7" " -7.7" " 6.6" " -5.5" " 3.8" " -0.5" " 4.0" " 0.5"
## 2010 " 3.7" " 1.5" " 2.5" " 0.9" " -5.2" " 7.7" " 2.2" " -1.5"
## 2011 " 0.4" " 3.5" " -0.9" " 1.6" " -1.7" " -0.9" " -1.3" " 11.7"
## 2012 " 5.4" " 3.5" " 1.4" " -0.9" " 8.8" " -1.3" " 0.4" " -0.2"
## 2013 " -3.9" " 0.2" " 2.2" " 4.6" " -0.3" " -0.3" " 0.5" " -0.3"
## 2014 " 5.7" " 3.4" " 0.2" " 0.6" " 1.7" " 2.5" " -0.4" " 4.4"
## 2015 " 13.3" " -6.1" " 0.4" " -1.6" " 0.1" " 0.1" " 0.1" " 0.1"
## 2016 " 2.0" " 4.4" " -0.3" " 0.4" " -0.9" " 9.5" " 3.9" " 0.3"
## 2017 " 0.3" " 0.1" " 1.5" " 0.6" " 2.6" " 0.6" " 4.5" " 1.1"
## 2018 " 7.4" " -0.3" " 0.7" " -0.7" " 1.1" " 0.6" " -0.2" " 0.0"
## 2019 " 1.9" " 0.1" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 2.5" " 0.7" " 0.7" " 0.4" " 1.1" " 2.0" " 2.1" " 2.8"
## Sep Oct Nov Dec Year MaxDD
## 1997 " 2.3" " -4.2" " 1.3" " 5.0" " 7.4" "-10.6"
## 1998 " 11.2" " -2.5" " 2.2" " 1.4" " 32.5" "-10.4"
## 1999 " 2.5" " 0.8" " 2.0" " 10.0" " 13.8" "-12.6"
## 2000 " -4.3" " 2.7" " 6.5" " 7.3" " 21.2" " -5.8"
## 2001 " -3.1" " 6.7" " -4.6" " -0.8" " 16.5" "-12.2"
## 2002 " 7.8" " -3.2" " -5.3" " -2.5" " 18.0" "-11.1"
## 2003 " 9.2" " 7.8" " 1.2" " 5.8" " 50.0" "-10.6"
## 2004 " 4.7" " 2.8" " 7.4" " 4.2" " 34.4" " -7.5"
## 2005 " 3.8" " -0.2" " 1.2" " 4.2" " 30.3" " -7.2"
## 2006 " 0.4" " 3.7" " 4.2" " 3.1" " 28.0" " -2.7"
## 2007 " 2.4" " 2.7" " -2.4" " 0.0" " 22.0" " -7.0"
## 2008 " -0.8" " 3.3" " 3.3" " 7.8" " 32.2" " -9.6"
## 2009 " 2.4" " -1.2" " 1.9" " 0.9" " 1.5" "-11.5"
## 2010 " -0.1" " 1.8" " -2.3" " 4.4" " 16.2" " -9.1"
## 2011 " 3.3" " -2.6" " -0.2" " 4.0" " 17.4" " -8.1"
## 2012 " 3.3" " -1.4" " 1.5" " 4.2" " 27.0" " -9.6"
## 2013 " 0.7" " 3.4" " 1.5" " 0.6" " 9.1" " -4.7"
## 2014 " -3.6" " 0.8" " 3.9" " 0.3" " 21.0" " -5.1"
## 2015 " 4.7" " -2.0" " -0.5" " -3.3" " 4.3" "-11.5"
## 2016 " 0.8" " -0.8" " -1.4" " 0.2" " 19.0" " -7.6"
## 2017 " 1.6" " 3.1" " 2.1" " 2.2" " 22.4" " -2.8"
## 2018 " -3.6" " -6.1" " 1.1" " 8.6" " 8.1" "-11.6"
## 2019 " NA" " NA" " NA" " NA" " 2.0" " -5.1"
## Avg " 2.1" " 0.7" " 1.1" " 3.1" " 19.7" " -8.4"

|
VOO
|
VEA
|
BND
|
VWO
|
LQD
|
TLT
|
SHY
|
IEF
|
|
1.4411161
|
-6.129696
|
-5.79439910
|
0.8325736
|
-9.6170173
|
-16.6506561
|
-1.2243214
|
-8.4276753
|
|
-1.8040397
|
3.481770
|
0.26615230
|
11.4826221
|
-1.3618504
|
5.4113513
|
0.3462248
|
0.2991608
|
|
0.5011327
|
4.629438
|
-4.79165139
|
-10.9361755
|
-9.6270572
|
-10.2148574
|
-1.2248742
|
-7.2419370
|
|
12.6806324
|
-2.250500
|
1.90870444
|
-8.7316456
|
-0.5229873
|
7.7795944
|
1.3418317
|
2.1142324
|
|
10.7917823
|
-6.443910
|
-1.31090452
|
-26.1263588
|
-5.6410302
|
0.8941974
|
0.2723800
|
-1.0280292
|
|
21.9618618
|
5.058749
|
-0.03069593
|
4.1632189
|
4.1475689
|
-3.9690612
|
0.1900816
|
-1.8542951
|
|
26.2515496
|
-6.074573
|
2.83084992
|
-23.4719600
|
0.6413530
|
5.3073475
|
1.6653924
|
3.6709842
|
|
19.3806070
|
3.713579
|
-1.95619731
|
-12.2184784
|
0.1400473
|
-13.7337829
|
-0.1757681
|
-5.5221576
|
|
-20.2834946
|
-42.434305
|
-3.94247221
|
-46.7686752
|
-9.7674830
|
-16.5195044
|
1.1823402
|
-2.1307491
|
|
4.0609263
|
-12.266966
|
0.67987604
|
3.1588462
|
-5.5557919
|
-1.7784239
|
2.0644081
|
3.6413296
|
|
-44.6349654
|
-40.213461
|
8.09367262
|
-24.1795863
|
4.3604102
|
22.4684294
|
4.6658163
|
14.0645718
|
|
21.8549778
|
17.221304
|
9.00435470
|
35.1051793
|
16.5087082
|
11.4672715
|
3.5333951
|
9.9399542
|
|
8.9020455
|
2.445738
|
5.17029938
|
-6.2088926
|
7.1523703
|
9.6966141
|
2.2563744
|
5.3150243
|
|
|
symbol
|
weight
|
entry.date
|
exit.date
|
nhold
|
entry.price
|
exit.price
|
return
|
|
[253,]
|
VWO
|
50
|
2017-10-31
|
2017-11-30
|
30
|
43.25
|
43.1
|
-0.17
|
|
[254,]
|
VEA
|
75
|
2017-11-30
|
2017-12-29
|
29
|
42.81
|
43.52
|
1.24
|
|
[255,]
|
VWO
|
37.5
|
2017-12-29
|
2018-01-31
|
33
|
44.7
|
48.52
|
3.21
|
|
[256,]
|
SHY
|
300
|
2018-01-31
|
2018-05-31
|
120
|
82.03
|
82.25
|
0.79
|
|
[257,]
|
IEF
|
300
|
2018-05-31
|
2018-06-29
|
29
|
100.66
|
100.86
|
0.59
|
|
[258,]
|
SHY
|
300
|
2018-06-29
|
2018-07-31
|
32
|
82.28
|
82.23
|
-0.18
|
|
[259,]
|
LQD
|
300
|
2018-07-31
|
2018-08-31
|
31
|
113.28
|
113.3
|
0.06
|
|
[260,]
|
IEF
|
300
|
2018-08-31
|
2018-09-28
|
28
|
101.34
|
100.12
|
-3.62
|
|
[261,]
|
LQD
|
300
|
2018-09-28
|
2018-10-31
|
33
|
113.14
|
110.82
|
-6.15
|
|
[262,]
|
SHY
|
300
|
2018-10-31
|
2018-11-30
|
30
|
82.52
|
82.84
|
1.14
|
|
[263,]
|
IEF
|
300
|
2018-11-30
|
2019-01-31
|
62
|
101.15
|
104.66
|
10.43
|
|
[264,]
|
VOO
|
25
|
2019-01-31
|
2019-02-15
|
15
|
248.01
|
254.98
|
0.7
|
|
[265,]
|
VWO
|
25
|
2019-01-31
|
2019-02-15
|
15
|
41.78
|
40.86
|
-0.55
|
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
73.2
|
Win.Percent.Day
|
50.9
|
|
Cagr
|
20.5
|
Avg.Trade
|
1.6
|
Best.Day
|
6.9
|
|
Sharpe
|
1.45
|
Avg.Win
|
2.9
|
Worst.Day
|
-6.5
|
|
DVR
|
1.28
|
Avg.Loss
|
-1.9
|
Win.Percent.Month
|
70.7
|
|
Volatility
|
12.85
|
Best.Trade
|
20.85
|
Best.Month
|
13.3
|
|
MaxDD
|
-16.83
|
Worst.Trade
|
-10.37
|
Worst.Month
|
-9.1
|
|
AvgDD
|
-1.72
|
WinLoss.Ratio
|
1.54
|
Win.Percent.Year
|
95.7
|
|
VaR
|
-1.28
|
Avg.Len
|
29.8
|
Best.Year
|
50
|
|
CVaR
|
-1.87
|
Num.Trades
|
265
|
Worst.Year
|
1.5
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
66.9345999269273
|
|
|
|
|
Using volatility as part of the measure
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-02-15 0 0 0 100 0 0 0 0
##
## Performance summary :
## CAGR Best Worst
## 28.5 6.9 -8.6
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
73.9
|
Win.Percent.Day
|
50.5
|
|
Cagr
|
30.02
|
Avg.Trade
|
3.3
|
Best.Day
|
6.9
|
|
Sharpe
|
1.47
|
Avg.Win
|
5.9
|
Worst.Day
|
-8.6
|
|
DVR
|
1.2
|
Avg.Loss
|
-3.8
|
Win.Percent.Month
|
70.3
|
|
Volatility
|
18.2
|
Best.Trade
|
38.32
|
Best.Month
|
23.8
|
|
MaxDD
|
-22.38
|
Worst.Trade
|
-11.99
|
Worst.Month
|
-13.3
|
|
AvgDD
|
-2.8
|
WinLoss.Ratio
|
1.53
|
Win.Percent.Year
|
87
|
|
VaR
|
-1.72
|
Avg.Len
|
29.93
|
Best.Year
|
113.1
|
|
CVaR
|
-2.68
|
Num.Trades
|
184
|
Worst.Year
|
-3.8
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
66.8006577745295
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1997 " NA" " NA" " NA" " NA" " 2.1" " 11.0" " 3.9" " -5.6"
## 1998 " 3.4" " -0.5" " 7.7" " 1.9" " -2.6" " 4.1" " -2.3" " 2.9"
## 1999 " 4.2" " -9.0" " 2.1" " 23.8" " -4.2" " 0.5" " 0.4" " 0.4"
## 2000 " -0.7" " 2.3" " 2.1" " -3.0" " 0.9" " 3.9" " -4.5" " 4.9"
## 2001 " 3.9" " 2.3" " -0.3" " -3.7" " 1.6" " 1.0" " 4.3" " 5.4"
## 2002 " 2.9" " 2.4" " -2.5" " 6.8" " 1.8" " 2.8" " 7.4" " 6.3"
## 2003 " -2.6" " 5.0" " 0.3" " 7.2" " 6.2" " 8.9" " 10.6" " 2.9"
## 2004 " 3.1" " 5.0" " 0.5" "-11.7" " -1.4" " 0.3" " 0.8" " 2.2"
## 2005 " -0.4" " 18.4" "-13.3" " 4.9" " 1.8" " 0.2" " 10.6" " 6.0"
## 2006 " 17.7" " -2.1" " 4.7" " 0.7" " 0.5" " 0.7" " 2.0" " 2.5"
## 2007 " 2.2" " -5.1" " 4.1" " 3.9" " 7.0" " 1.4" " 2.7" " 6.9"
## 2008 " 6.8" " 2.4" " 2.6" " -3.6" " 1.8" " 0.7" " 1.7" " 1.4"
## 2009 " -5.8" " -1.6" " 6.6" " -5.5" " 8.8" " -1.1" " 5.4" " -0.3"
## 2010 " 3.7" " 1.5" " 6.0" " 3.6" "-12.0" " 7.7" " 2.2" " -2.6"
## 2011 " 0.0" " 8.7" " -0.2" " 3.4" " -2.4" " -2.6" " -2.4" " 11.7"
## 2012 " 2.5" " 8.7" " 8.2" " -1.4" " 2.2" " 2.6" " 1.2" " -0.2"
## 2013 " -3.9" " 0.2" " 7.3" " 0.2" " -4.5" " -0.3" " 0.5" " -0.3"
## 2014 " 5.7" " 3.4" " 1.3" " 1.3" " 3.5" " 3.1" " -4.3" " 7.7"
## 2015 " 13.3" " -6.1" " 2.1" " -1.6" " -1.4" " -5.0" " 0.1" " -0.2"
## 2016 " 10.3" " 4.4" " -0.3" " 0.5" " 3.4" " 9.5" " 3.9" " 0.2"
## 2017 " 0.3" " 0.1" " 0.2" " 0.6" " 8.6" " 1.2" " 7.3" " -0.1"
## 2018 " 17.4" " -6.6" " 0.7" " -0.7" " 1.1" " 0.1" " -0.2" " 1.0"
## 2019 " 1.9" " -2.2" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 3.9" " 1.4" " 1.9" " 1.3" " 1.0" " 2.3" " 2.3" " 2.4"
## Sep Oct Nov Dec Year MaxDD
## 1997 " 6.2" " -3.4" " 1.3" " 5.0" " 21.3" "-10.8"
## 1998 " 11.2" " -2.5" " 6.1" " 8.7" " 43.7" "-10.4"
## 1999 " 2.5" " 0.8" " 6.1" " 22.1" " 55.9" "-11.2"
## 2000 " -7.9" " 2.7" " 6.5" " 8.0" " 15.1" "-10.5"
## 2001 " -3.1" " 6.7" " -4.6" " -1.9" " 11.5" "-12.3"
## 2002 " 7.8" " -3.2" " -5.3" " -4.0" " 24.3" "-12.4"
## 2003 " 9.2" " 18.8" " 1.6" " 11.9" "113.1" " -8.5"
## 2004 " 11.5" " 4.5" " 14.9" " 8.1" " 41.5" "-22.4"
## 2005 " 7.1" " -3.7" " 1.2" " 6.5" " 42.6" "-18.1"
## 2006 " 0.3" " 9.9" " 5.6" " 6.0" " 58.7" " -5.3"
## 2007 " 4.9" " 6.4" " -4.1" " 0.0" " 33.8" "-14.5"
## 2008 " -0.8" " 3.3" " 3.3" " 7.8" " 30.4" " -9.6"
## 2009 " 3.9" " -2.4" " 3.6" " 1.9" " 13.1" " -9.1"
## 2010 " -0.1" " 3.1" " -4.4" " 10.5" " 18.8" "-20.0"
## 2011 " 3.3" " -2.6" " -0.1" " 4.0" " 21.5" "-12.7"
## 2012 " 3.3" " -5.0" " 4.0" " 6.4" " 36.7" "-12.8"
## 2013 " 0.7" " 4.8" " 1.2" " -0.5" " 5.0" " -9.5"
## 2014 " -3.5" " 4.6" " 3.9" " 0.3" " 29.6" "-10.2"
## 2015 " 0.9" " -2.0" " -1.3" " -1.5" " -3.8" "-16.7"
## 2016 " -0.4" " 0.3" " -9.3" " 0.2" " 23.5" "-12.0"
## 2017 " -1.1" " 7.1" " 9.3" " 3.8" " 43.3" " -6.6"
## 2018 " -3.6" " 0.5" " 1.1" " 2.3" " 12.2" "-13.6"
## 2019 " NA" " NA" " NA" " NA" " -0.3" " -5.1"
## Avg " 2.4" " 2.2" " 1.9" " 4.8" " 30.1" "-11.9"

|
VOO
|
VEA
|
BND
|
VWO
|
LQD
|
TLT
|
SHY
|
IEF
|
|
1.4411161
|
-6.129696
|
-5.79439910
|
0.8325736
|
-9.6170173
|
-16.6506561
|
-1.2243214
|
-8.4276753
|
|
-1.8040397
|
3.481770
|
0.26615230
|
11.4826221
|
-1.3618504
|
5.4113513
|
0.3462248
|
0.2991608
|
|
0.5011327
|
4.629438
|
-4.79165139
|
-10.9361755
|
-9.6270572
|
-10.2148574
|
-1.2248742
|
-7.2419370
|
|
12.6806324
|
-2.250500
|
1.90870444
|
-8.7316456
|
-0.5229873
|
7.7795944
|
1.3418317
|
2.1142324
|
|
10.7917823
|
-6.443910
|
-1.31090452
|
-26.1263588
|
-5.6410302
|
0.8941974
|
0.2723800
|
-1.0280292
|
|
21.9618618
|
5.058749
|
-0.03069593
|
4.1632189
|
4.1475689
|
-3.9690612
|
0.1900816
|
-1.8542951
|
|
26.2515496
|
-6.074573
|
2.83084992
|
-23.4719600
|
0.6413530
|
5.3073475
|
1.6653924
|
3.6709842
|
|
19.3806070
|
3.713579
|
-1.95619731
|
-12.2184784
|
0.1400473
|
-13.7337829
|
-0.1757681
|
-5.5221576
|
|
-20.2834946
|
-42.434305
|
-3.94247221
|
-46.7686752
|
-9.7674830
|
-16.5195044
|
1.1823402
|
-2.1307491
|
|
4.0609263
|
-12.266966
|
0.67987604
|
3.1588462
|
-5.5557919
|
-1.7784239
|
2.0644081
|
3.6413296
|
|
-44.6349654
|
-40.213461
|
8.09367262
|
-24.1795863
|
4.3604102
|
22.4684294
|
4.6658163
|
14.0645718
|
|
21.8549778
|
17.221304
|
9.00435470
|
35.1051793
|
16.5087082
|
11.4672715
|
3.5333951
|
9.9399542
|
|
8.9020455
|
2.445738
|
5.17029938
|
-6.2088926
|
7.1523703
|
9.6966141
|
2.2563744
|
5.3150243
|
|
|
symbol
|
weight
|
entry.date
|
exit.date
|
nhold
|
entry.price
|
exit.price
|
return
|
|
[172,]
|
SHY
|
300
|
2017-03-31
|
2017-04-28
|
28
|
82.22
|
82.37
|
0.56
|
|
[173,]
|
VEA
|
250
|
2017-04-28
|
2017-05-31
|
33
|
37.99
|
39.28
|
8.53
|
|
[174,]
|
VEA
|
200
|
2017-05-31
|
2017-06-30
|
30
|
39.28
|
39.53
|
1.27
|
|
[175,]
|
VEA
|
250
|
2017-06-30
|
2017-07-31
|
31
|
39.53
|
40.67
|
7.2
|
|
[176,]
|
VEA
|
300
|
2017-07-31
|
2017-08-31
|
31
|
40.67
|
40.68
|
0.07
|
|
[177,]
|
VWO
|
200
|
2017-08-31
|
2017-09-29
|
29
|
42.43
|
42.22
|
-0.99
|
|
[178,]
|
VOO
|
300
|
2017-09-29
|
2018-01-31
|
124
|
225.3
|
254.08
|
38.32
|
|
[179,]
|
LQD
|
300
|
2018-01-31
|
2018-02-28
|
28
|
115.47
|
112.89
|
-6.71
|
|
[180,]
|
SHY
|
300
|
2018-02-28
|
2018-08-31
|
184
|
81.95
|
82.52
|
2.09
|
|
[181,]
|
IEF
|
300
|
2018-08-31
|
2018-09-28
|
28
|
101.34
|
100.12
|
-3.62
|
|
[182,]
|
SHY
|
300
|
2018-09-28
|
2018-12-31
|
94
|
82.4
|
83.47
|
3.9
|
|
[183,]
|
IEF
|
300
|
2018-12-31
|
2019-01-31
|
31
|
103.98
|
104.66
|
1.96
|
|
[184,]
|
VWO
|
100
|
2019-01-31
|
2019-02-15
|
15
|
41.78
|
40.86
|
-2.2
|
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
73.9
|
Win.Percent.Day
|
50.5
|
|
Cagr
|
30.02
|
Avg.Trade
|
3.3
|
Best.Day
|
6.9
|
|
Sharpe
|
1.47
|
Avg.Win
|
5.9
|
Worst.Day
|
-8.6
|
|
DVR
|
1.2
|
Avg.Loss
|
-3.8
|
Win.Percent.Month
|
70.3
|
|
Volatility
|
18.2
|
Best.Trade
|
38.32
|
Best.Month
|
23.8
|
|
MaxDD
|
-22.38
|
Worst.Trade
|
-11.99
|
Worst.Month
|
-13.3
|
|
AvgDD
|
-2.8
|
WinLoss.Ratio
|
1.53
|
Win.Percent.Year
|
87
|
|
VaR
|
-1.72
|
Avg.Len
|
29.93
|
Best.Year
|
113.1
|
|
CVaR
|
-2.68
|
Num.Trades
|
184
|
Worst.Year
|
-3.8
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
66.8006577745295
|
|
|
|
|
Just SPY and IEF
## Latest weights :
## VOO VEA BND VWO LQD TLT SHY IEF
## 2019-02-15 0 0 0 100 0 0 0 0
##
## Performance summary :
## CAGR Best Worst
## 30.6 6.9 -7.3
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
69.5
|
Win.Percent.Day
|
51.7
|
|
Cagr
|
32.21
|
Avg.Trade
|
4.3
|
Best.Day
|
6.9
|
|
Sharpe
|
1.5
|
Avg.Win
|
7.6
|
Worst.Day
|
-7.3
|
|
DVR
|
1.25
|
Avg.Loss
|
-3.5
|
Win.Percent.Month
|
65.8
|
|
Volatility
|
19.09
|
Best.Trade
|
24.06
|
Best.Month
|
23.8
|
|
MaxDD
|
-22.75
|
Worst.Trade
|
-11.99
|
Worst.Month
|
-13.3
|
|
AvgDD
|
-2.89
|
WinLoss.Ratio
|
2.21
|
Win.Percent.Year
|
91.3
|
|
VaR
|
-1.82
|
Avg.Len
|
35.76
|
Best.Year
|
98.7
|
|
CVaR
|
-2.7
|
Num.Trades
|
154
|
Worst.Year
|
-0.3
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
65.3206650831354
|
|
|
|
|

## Jan Feb Mar Apr May Jun Jul Aug
## 1997 " NA" " NA" " NA" " NA" " 2.5" " 4.5" " 12.1" " -5.6"
## 1998 " 5.2" " -1.2" " 7.7" " 1.9" " -2.6" " 2.9" " 0.7" " 9.8"
## 1999 " 4.2" " -9.0" " 1.7" " 23.8" " -4.2" " -0.9" " -1.4" " -0.3"
## 2000 " -1.4" " 3.0" " 6.2" " -3.0" " 0.4" " 6.7" " -4.5" " 4.9"
## 2001 " 3.9" " 3.2" " 1.5" " -3.5" " 1.6" " 1.2" " 8.1" " 3.3"
## 2002 " 2.9" " 3.9" " -6.8" " 8.0" " 3.1" " 5.2" " 7.4" " 6.3"
## 2003 " -2.4" " 6.7" " -1.3" " 0.4" " 6.2" " 8.9" " 10.6" " 1.4"
## 2004 " 4.6" " 6.3" " 0.5" "-11.7" " -1.7" " 1.8" " 3.6" " 8.6"
## 2005 " -0.4" " 18.4" "-13.3" " 7.7" " 5.6" " 3.5" " 10.6" " 6.0"
## 2006 " 17.7" " -2.1" " 1.2" " -1.9" " -0.4" " 0.6" " 5.1" " 2.5"
## 2007 " 0.0" " -2.3" " 4.1" " 1.9" " 4.6" " -1.5" " 6.8" " 6.9"
## 2008 " 6.8" " 2.4" " 2.6" " -3.6" " 1.8" " 3.3" " 1.7" " 3.8"
## 2009 " -5.8" " -1.6" " 6.6" " -5.5" " 8.8" " -1.1" " 5.4" " -0.3"
## 2010 " 7.2" " 0.9" " 4.0" " -0.2" "-12.0" " 7.7" " 2.2" " -2.6"
## 2011 " -0.1" " 8.7" " -3.9" " 3.4" " -4.1" " -2.6" " -2.4" " 11.7"
## 2012 " 2.5" " 5.4" " 8.2" " -1.4" " 8.8" " -1.3" " 1.2" " -0.4"
## 2013 " -3.9" " 3.4" " 7.3" " 4.6" " -4.5" " -7.6" " -1.0" " -3.6"
## 2014 " 9.4" " 1.0" " -0.6" " 1.3" " 3.4" " 4.8" " 2.6" " 7.7"
## 2015 " 13.3" " -6.1" " 2.1" " -1.6" " -1.4" " -5.0" " 3.8" " 0.1"
## 2016 " 10.3" " 4.4" " -0.3" " 1.0" " -3.2" " 9.4" " 0.7" " 0.8"
## 2017 " 0.6" " 2.1" " 0.2" " 3.3" " 8.6" " 1.2" " 7.3" " 4.5"
## 2018 " 13.0" " -2.8" " 3.5" " -3.8" " 2.9" " 0.6" " -1.6" " 3.0"
## 2019 " 1.9" " -2.2" " NA" " NA" " NA" " NA" " NA" " NA"
## Avg " 4.1" " 1.9" " 1.5" " 1.0" " 1.1" " 1.9" " 3.6" " 3.1"
## Sep Oct Nov Dec Year MaxDD
## 1997 " 4.4" " -3.4" " 0.9" " 3.3" " 19.2" "-10.8"
## 1998 " 11.2" " -2.5" " 6.1" " 8.7" " 57.8" "-10.4"
## 1999 " 3.2" " 0.3" " 2.0" " 22.1" " 44.0" "-14.7"
## 2000 " -7.9" " 2.7" " 6.5" " 7.3" " 21.4" "-10.5"
## 2001 " 7.2" " 6.7" " -7.0" " -3.0" " 24.3" "-14.5"
## 2002 " 7.8" " -3.2" " -5.3" " -4.0" " 26.2" "-12.4"
## 2003 " 10.1" " 18.8" " 1.6" " 11.9" " 98.7" "-10.6"
## 2004 " 11.5" " 4.5" " 15.6" " 8.1" " 61.7" "-21.3"
## 2005 " 8.2" " -3.7" " 1.8" " 6.5" " 59.3" "-18.1"
## 2006 " 0.3" " 9.9" " 7.3" " 6.0" " 55.0" " -6.6"
## 2007 " 4.9" " 6.4" " -4.1" " 0.0" " 30.5" "-11.8"
## 2008 " -0.8" " -1.8" " 15.9" " 7.8" " 46.0" "-13.6"
## 2009 " 3.9" " -2.4" " 3.6" " 1.6" " 12.7" " -9.1"
## 2010 " -0.1" " 3.1" " -4.4" " 10.5" " 15.4" "-18.3"
## 2011 " 3.3" " -2.6" " -0.1" " 4.0" " 14.8" "-17.5"
## 2012 " -1.1" " -0.9" " 4.0" " 6.4" " 35.3" " -9.5"
## 2013 " 5.5" " 4.8" " 4.5" " -6.2" " 1.8" "-22.7"
## 2014 "-10.6" " 4.6" " 3.9" " 0.3" " 29.7" "-14.0"
## 2015 " 4.7" " -2.0" " -1.3" " -1.5" " 3.8" "-14.6"
## 2016 " 2.9" " 0.3" "-12.3" " -0.4" " 12.3" "-18.3"
## 2017 " -1.1" " 5.3" " -0.8" " 3.8" " 40.7" " -7.4"
## 2018 " -3.6" " -1.0" " 4.0" " 8.6" " 23.7" " -9.7"
## 2019 " NA" " NA" " NA" " NA" " -0.3" " -5.1"
## Avg " 2.9" " 2.0" " 1.9" " 4.6" " 31.9" "-13.1"

|
VOO
|
VEA
|
BND
|
VWO
|
LQD
|
TLT
|
SHY
|
IEF
|
|
1.4411161
|
-6.129696
|
-5.79439910
|
0.8325736
|
-9.6170173
|
-16.6506561
|
-1.2243214
|
-8.4276753
|
|
-1.8040397
|
3.481770
|
0.26615230
|
11.4826221
|
-1.3618504
|
5.4113513
|
0.3462248
|
0.2991608
|
|
0.5011327
|
4.629438
|
-4.79165139
|
-10.9361755
|
-9.6270572
|
-10.2148574
|
-1.2248742
|
-7.2419370
|
|
12.6806324
|
-2.250500
|
1.90870444
|
-8.7316456
|
-0.5229873
|
7.7795944
|
1.3418317
|
2.1142324
|
|
10.7917823
|
-6.443910
|
-1.31090452
|
-26.1263588
|
-5.6410302
|
0.8941974
|
0.2723800
|
-1.0280292
|
|
21.9618618
|
5.058749
|
-0.03069593
|
4.1632189
|
4.1475689
|
-3.9690612
|
0.1900816
|
-1.8542951
|
|
26.2515496
|
-6.074573
|
2.83084992
|
-23.4719600
|
0.6413530
|
5.3073475
|
1.6653924
|
3.6709842
|
|
19.3806070
|
3.713579
|
-1.95619731
|
-12.2184784
|
0.1400473
|
-13.7337829
|
-0.1757681
|
-5.5221576
|
|
-20.2834946
|
-42.434305
|
-3.94247221
|
-46.7686752
|
-9.7674830
|
-16.5195044
|
1.1823402
|
-2.1307491
|
|
4.0609263
|
-12.266966
|
0.67987604
|
3.1588462
|
-5.5557919
|
-1.7784239
|
2.0644081
|
3.6413296
|
|
-44.6349654
|
-40.213461
|
8.09367262
|
-24.1795863
|
4.3604102
|
22.4684294
|
4.6658163
|
14.0645718
|
|
21.8549778
|
17.221304
|
9.00435470
|
35.1051793
|
16.5087082
|
11.4672715
|
3.5333951
|
9.9399542
|
|
8.9020455
|
2.445738
|
5.17029938
|
-6.2088926
|
7.1523703
|
9.6966141
|
2.2563744
|
5.3150243
|
|
|
symbol
|
weight
|
entry.date
|
exit.date
|
nhold
|
entry.price
|
exit.price
|
return
|
|
[142,]
|
VOO
|
300
|
2017-02-28
|
2017-03-31
|
31
|
208.93
|
209.21
|
0.4
|
|
[143,]
|
IEF
|
300
|
2017-03-31
|
2017-04-28
|
28
|
101.43
|
102.56
|
3.33
|
|
[144,]
|
VEA
|
250
|
2017-04-28
|
2017-05-31
|
33
|
37.99
|
39.28
|
8.53
|
|
[145,]
|
VEA
|
200
|
2017-05-31
|
2017-06-30
|
30
|
39.28
|
39.53
|
1.27
|
|
[146,]
|
VEA
|
250
|
2017-06-30
|
2017-07-31
|
31
|
39.53
|
40.67
|
7.2
|
|
[147,]
|
VWO
|
150
|
2017-07-31
|
2017-08-31
|
31
|
41.19
|
42.43
|
4.5
|
|
[148,]
|
VWO
|
200
|
2017-08-31
|
2017-09-29
|
29
|
42.43
|
42.22
|
-0.99
|
|
[149,]
|
VEA
|
300
|
2017-09-29
|
2017-10-31
|
32
|
41.7
|
42.44
|
5.32
|
|
[150,]
|
VWO
|
200
|
2017-10-31
|
2017-11-30
|
30
|
43.25
|
43.1
|
-0.67
|
|
[151,]
|
VOO
|
300
|
2017-11-30
|
2017-12-29
|
29
|
237.59
|
240.64
|
3.85
|
|
[152,]
|
VWO
|
150
|
2017-12-29
|
2018-01-31
|
33
|
44.7
|
48.52
|
12.84
|
|
[153,]
|
IEF
|
300
|
2018-01-31
|
2019-01-31
|
365
|
100.75
|
104.66
|
11.64
|
|
[154,]
|
VWO
|
100
|
2019-01-31
|
2019-02-15
|
15
|
41.78
|
40.86
|
-2.2
|
|
|
System
|
|
Trade
|
|
Period
|
|
Period
|
Apr1997 - Feb2019
|
Win.Percent
|
69.5
|
Win.Percent.Day
|
51.7
|
|
Cagr
|
32.21
|
Avg.Trade
|
4.3
|
Best.Day
|
6.9
|
|
Sharpe
|
1.5
|
Avg.Win
|
7.6
|
Worst.Day
|
-7.3
|
|
DVR
|
1.25
|
Avg.Loss
|
-3.5
|
Win.Percent.Month
|
65.8
|
|
Volatility
|
19.09
|
Best.Trade
|
24.06
|
Best.Month
|
23.8
|
|
MaxDD
|
-22.75
|
Worst.Trade
|
-11.99
|
Worst.Month
|
-13.3
|
|
AvgDD
|
-2.89
|
WinLoss.Ratio
|
2.21
|
Win.Percent.Year
|
91.3
|
|
VaR
|
-1.82
|
Avg.Len
|
35.76
|
Best.Year
|
98.7
|
|
CVaR
|
-2.7
|
Num.Trades
|
154
|
Worst.Year
|
-0.3
|
|
Exposure
|
95.94
|
|
|
|
|
|
Roll.TwelveM
|
65.3206650831354
|
|
|
|
|
Compare all portfolios
|
|
vaa.g4.t1.b1.l1
|
vaa.g4.t1.b1.lv
|
vaa.g4.t1.b1.lv3
|
vaa.g4.t1.b1.lv3.c
|
vaa.g4.t1.b1.lv3.c.s
|
vaa.g4.t2.b1.lv3.c.s
|
vaa.g4.t1.b1.lv3.m6d
|
|
Period
|
Apr1996 - Feb2019
|
Apr1996 - Feb2019
|
Apr1996 - Feb2019
|
Apr1996 - Feb2019
|
Apr1996 - Feb2019
|
Apr1996 - Feb2019
|
Apr1996 - Feb2019
|
|
Cagr
|
33.47
|
41.8
|
29.67
|
29.23
|
30.59
|
19.51
|
30.59
|
|
Sharpe
|
1.28
|
1.7
|
1.54
|
1.52
|
1.5
|
1.45
|
1.5
|
|
DVR
|
1.03
|
1.19
|
1.21
|
1.2
|
1.23
|
1.26
|
1.23
|
|
Volatility
|
25.1
|
21.97
|
17.99
|
17.99
|
19.09
|
12.85
|
19.09
|
|
MaxDD
|
-31.08
|
-24.49
|
-20.29
|
-20.29
|
-22.75
|
-16.83
|
-22.75
|
|
AvgDD
|
-3.7
|
-3.04
|
-2.7
|
-2.72
|
-2.88
|
-1.72
|
-2.88
|
|
VaR
|
-2.17
|
-2.07
|
-1.72
|
-1.73
|
-1.82
|
-1.28
|
-1.82
|
|
CVaR
|
-3.83
|
-3.04
|
-2.66
|
-2.66
|
-2.7
|
-1.87
|
-2.7
|
|
Exposure
|
95.94
|
95.94
|
95.94
|
95.94
|
95.94
|
95.94
|
95.94
|